A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables
A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables
In this paper, a time-varying first-order mixture integer-valued threshold autoregressive process driven by explanatory variables is introduced. The basic probabilistic and statistical properties of this model are studied in depth. We proceed to derive estimators using the conditional least squares (CLS) and conditional maximum likelihood (CML) methods, while also establishing …